You need to do two things:

1. Add the following line to your .emacs file before the
   "Options Menu Settings" section:

(setq options-save-faces t)

2. In xemacs uncheck Options|Frame Appearance|Frame-Local Font Menu

Then change your font settings and do an "Options|Save Options"
Now quit and restart xemacs. Your settings should have been remembered.

(Thanks to John Hibbitt)